I've been able to download file attachments using the stock eDGe email program without any problem (Yahoo, Gmail, and my university). When you download it, are you sure that you aren't ignoring an icon on the notification bar letting you know that it has completed downloading?

My other thought would be to make sure that it's a file type that the eDGe can open (e.g., not some video file whose codec is missing or something). If you transfer the file to the eDGe by using either a flash driver or the USB connection, will it open?